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Time and Black–Scholes–Merton
The article contrasts the abstract nature of financial models like Black–Scholes–Merton with their application in real-world markets, highlighting the philosophical challenges of reconciling formal mathematical constructs with physical time and history.
Tue 23 Jan 2024
Peter Carr's Hall of Mirrors
Put-call symmetry may have been the start but, for Peter Carr, the importance of invariance extends into surprising realms of possibility. Dan Tudball traces Carr’s kaleidoscopic journey…
Tue 23 Jan 2024
Quantpedia Research Review - Issue 15
Issue 15 delves into the intricate relationship between cybersecurity risk and stock performance, discusses how inflation affects equity returns, and explores why US stocks outperform emerging and developed markets.
Tue 23 Jan 2024
Close Encounters of the Third Order
The article discusses third-order implied volatility approximations for option pricing, as presented by Matt Lorig and colleagues, drawing a cultural parallel with the film "Close Encounters of the Third Kind."
Thu 14 Dec 2023
Grid Monte Carlo in Portfolio CVA Valuation
This article proposes and discusses an efficient numerical technique, Grid Monte Carlo (GMC), for the risk-neutral valuation of portfolio CVA.
Thu 14 Dec 2023
Quantpedia Research Review - Issue 14
Issue 14 discusses the impact of financial influencers on market sentiment, the effectiveness of machine learning models in predicting stock returns with reduced biases, and the challenges of maintaining profitable machine learning strategies in increasingly efficient markets.
Thu 14 Dec 2023
The Heston–Hull–White Model Part II: Numerics and Examples
In this article, the authors review the methods for pricing European options using the Heston-Hull-White model.
Wed 15 Nov 2023
Optimal Hedging Strategies With an Application to Hedge Fund Replication
In this paper, the authors discuss the technical challenges of implementing a multivariate extension of Dybvig (1988) model and discuss the possible solutions.
Wed 15 Nov 2023
Quantpedia Research Review - Issue 13
Issue 13 examines the strategies of Time Invariant Portfolio Protection, discusses how different investors and their strategies influence anomaly returns, and revisits the potential of OpenAI's ChatGPT for backtesting.
Wed 15 Nov 2023
CQF Program Celebrates its 20th Anniversary with Record-Breaking Number of Graduates
The Certificate in Quantitative Finance (CQF) program has double the reason to celebrate this year. Not only does this year mark the CQF's 20th anniversary, but also the highest number of CQF delegates in the program's two-decade history have successfully graduated in the most recent cohort.
Mon 23 Oct 2023
